TPG Telecom (Australia) Volatility
| TPG Stock | 4.22 -0.06 -1.40% |
Sharpe Ratio = 0.1446
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | TPG | |||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark |
Estimated Market Risk
| 1.26 actual daily | 11 Higher volatility than 11% of comparable assets |
Expected Return
| 0.18 actual daily | 3 Outperformed by 97% of comparable assets |
Risk-Adjusted Return
| 0.14 actual daily | 11 11th percentile in risk-adjusted performance |
Latest disclosures for TPG Telecom show a Market Risk Adjusted Performance of -3.2%, a Risk of 1.26, and a Risk Adjusted Performance of 0.1%. The stock is currently at approximately 11% of its recent trend range per monthly moving averages.
Key indicators related to TPG Telecom's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for TPG Telecom (3 Months):
Beta -0.04 | Alpha 0.14 | Risk 1.26 | Sharpe Ratio 0.14 | Expected Return 0.18 |
Moving together with TPG Stock
Moving Against TPG Stock
Sensitivity To Market
TPG Telecom beta coefficient measures the volatility of TPG stock relative to the systematic risk of the broad market benchmark. A beta of -0.0432 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.26%. TPG Telecom has shown noticeable price swings over the selected period. Downside deviation is about 1.39% and standard deviation is about 1.27%, which summarize how widely returns have moved. Stock volatility reflects changes in expectations about revenue, margins, and competitive position. For TPG Telecom, price swings may be influenced by sector movement and company-specific headlines.
3 Months Beta |TPG Telecom Demand TrendCurrent 90-day TPG Telecom correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far TPG returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 1.26 |
For TPG Telecom, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of TPG Telecom's returns. Latest disclosures for TPG Telecom show a Downside Deviation of 1.39, a Downside Variance of 1.93, and a Maximum Drawdown of 6.88.
Stock Volatility Analysis
Volatility describes the degree to which TPG Telecom stock price fluctuates in either direction. It captures how much TPG Telecom's price fluctuates, which is relevant to allocation calibration.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between TPG Telecom's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, TPG Telecom has a beta of -0.0432. This usually implies that as returns on the benchmark increase, returns on TPG Telecom tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, TPG Telecom tends to outperform the market.TPG Telecom remains sensitive to broader stock market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Latest disclosures for TPG Telecom show a Downside Deviation of 1.39, a Mean Deviation of 0.97, and a Semi Deviation of 1.13.
Predicted Return Distribution |
| Density |
What Drives TPG Telecom's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Diversified Telecommunication Services sector can move TPG Telecom's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for TPG Telecom.TPG Telecom's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in TPG Telecom's shares.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of TPG Telecom is 691.41. The daily returns are distributed with a variance of 1.6 and standard deviation of 1.26. The mean deviation of TPG Telecom is currently at 0.96. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.93
α | Alpha over Dow Jones | 0.14 | |
β | Beta against Dow Jones | -0.0432 | |
σ | Overall volatility | 1.26 | |
Ir | Information ratio | 0.13 |
Stock Return Volatility
TPG Telecom historical daily return volatility represents how much of TPG Telecom stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 1.2638% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9461% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in TPG Stock do not always mean TPG Telecom Company is outperforming peers on business quality. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CBA | 1.04 | 0.23 | 0.20 | -0.86 | 1.05 | 2.50 | 9.65 | |||
| IXJ | 0.79 | -0.21 | 0.00 | 1.37 | 0.00 | 1.34 | 4.21 | |||
| VMS | 3.97 | -0.06 | 0.00 | 0.25 | 0.00 | 10.00 | 33.64 | |||
| EMB | 0.06 | 0.02 | 0.00 | 0.61 | 0.00 | 0.00 | 1.89 | |||
| AAC | 1.03 | -0.05 | 0.00 | -1.98 | 0.00 | 2.33 | 5.28 | |||
| IFRA | 0.63 | 0.11 | 0.14 | 1.29 | 0.76 | 1.45 | 3.86 | |||
| ERA | 8.35 | 1.02 | 0.06 | 0.56 | 8.81 | 16.67 | 58.33 | |||
| IMU | 3.64 | -1.49 | 0.00 | 10.18 | 0.00 | 6.67 | 31.68 | |||
| ANR | 3.04 | -0.51 | 0.00 | -0.53 | 0.00 | 10.00 | 25.76 | |||
| MRQ | 7.14 | 0.43 | 0.02 | 0.28 | 8.92 | 25.00 | 58.33 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for TPG Telecom defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Comparing drawdown depth across market phases shows whether downside risk is regime-dependent. TPG Telecom has a market cap of 8.23 B, ROE of 0.52%.
Reported values for TPG Telecom are derived from periodic company reporting and market reference feeds and standardized for analysis. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
TPG Telecom Volatility Profile Summary
Recent data suggests that TPG Telecom is more volatile than Dow Jones Industrial by approximately 1.33x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.TPG Telecom exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. a somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View TPG Telecom probability analysis.
Excellent diversification
The correlation between TPG Telecom and Dow Jones is -0.19, which Macroaxis classifies as Excellent diversification for the selected horizon. A -0.19 reading means TPG Telecom and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
TPG Telecom Additional Risk Indicators
Secondary risk indicators for TPG Telecom evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | 0.1105 | |||
| Market Risk Adjusted Performance | -3.16 | |||
| Mean Deviation | 0.9658 | |||
| Semi Deviation | 1.13 | |||
| Downside Deviation | 1.39 | |||
| Coefficient Of Variation | 862.86 | |||
| Standard Deviation | 1.27 |
TPG Telecom Suggested Diversification Pairs
A pair-trading setup around TPG Telecom shifts the return benchmark from the broad market to a second position, altering the risk profile. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
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| Salesforce vs. TPG Telecom | ||
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against TPG Telecom as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. TPG Telecom's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, TPG Telecom's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to TPG Telecom.
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